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DERIVATIVE INSTRUMENTS (Tables)
 3 Months Ended
Mar. 31, 2025
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summarizes Fair Value Information about Derivative Assets Liabilities
The following table summarizes fair value information about the Company’s derivative assets and liabilities at March 31, 2025 and December 31, 2024:
Derivatives InstrumentsMarch 31, 2025December 31, 2024
Assets(dollars in thousands)
Interest rate swaps$8,012 $21,226 
Interest rate swaptions7,595 — 
TBA derivatives35,095 8,635 
Futures contracts5,597 190,980 
Purchase commitments10,958 4,510 
Total derivative assets$67,257 $225,351 
Liabilities 
Interest rate swaps$18,455 $7,212 
TBA derivatives12,467 30,539 
Futures contracts148,371 16,650 
Purchase commitments1,772 5,185 
Total derivative liabilities$181,065 $59,586 
Summary of Certain Characteristics of Derivatives
The following tables summarize certain characteristics of the Company’s interest rate swaps at March 31, 2025 and December 31, 2024:
March 31, 2025
Maturity
Current Notional (1)
Weighted Average Pay RateWeighted Average Receive Rate
Weighted Average Years to Maturity (2)
(dollars in thousands)
0 - 3 years
$25,483,937 3.27 %4.40 %1.72
3 - 6 years
8,678,730 2.96 %4.41 %4.61
6 - 10 years
19,698,720 2.61 %4.48 %7.37
Greater than 10 years
1,591,381 3.38 %4.41 %22.96
Total / Weighted average$55,452,768 2.98 %4.43 %4.79
December 31, 2024
Maturity
Current Notional (1)
Weighted Average
Pay Rate		Weighted Average Receive Rate
Weighted Average Years to Maturity (2)
(dollars in thousands)
0 - 3 years
$30,411,229 3.49 %4.48 %1.14
3 - 6 years
12,764,021 3.15 %4.50 %4.27
6 - 10 years
21,318,937 2.55 %4.53 %7.63
Greater than 10 years
1,559,384 3.40 %4.41 %23.25
Total / Weighted average$66,053,571 3.11 %4.50 %4.36
(1) As of March 31, 2025, 93% and 7% of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively. As of December 31, 2024, 95% and 5% of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively.
(2) The weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed.
The following tables summarize certain characteristics of the Company’s swaptions at March 31, 2025 and December 31, 2024:
March 31, 2025
Current Underlying NotionalWeighted Average Underlying Fixed RateWeighted Average Underlying Floating RateWeighted Average Underlying Years to MaturityWeighted Average Months to Expiration
(dollars in thousands)
Long pay$1,000,0004.68%SOFR10.839.92
Long receive$——%SOFR0.000.00
December 31, 2024
Current Underlying NotionalWeighted Average Underlying Fixed RateWeighted Average Underlying Floating RateWeighted Average Underlying Years to MaturityWeighted Average Months to Expiration
(dollars in thousands)
Long pay$——%SOFR0.000.00
Long receive$——%SOFR0.000.00
The following tables summarize certain characteristics of the Company’s TBA derivatives at March 31, 2025 and December 31, 2024:
March 31, 2025
Purchase and Sale Contracts for Derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$6,902,000 $6,612,755 $6,635,383 $22,628 
Net TBA derivatives$6,902,000 $6,612,755 $6,635,383 $22,628 
December 31, 2024
Purchase and Sale Contracts for Derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$4,237,000 $4,239,001 $4,209,341 $(29,660)
Sale contracts(1,120,000)(1,080,943)(1,073,187)7,756 
Net TBA derivatives$3,117,000 $3,158,058 $3,136,154 $(21,904)
The following tables summarize certain characteristics of the Company’s futures derivatives at March 31, 2025 and December 31, 2024: 
March 31, 2025
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
U.S. Treasury futures - 10 year and greater
$— $(11,659,400)10.52
Total$— $(11,659,400)10.52
December 31, 2024
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
U.S. Treasury futures - 2 year
$6,511,600 $— 1.98
U.S. Treasury futures - 5 year
1,960,500 — 4.40
U.S. Treasury futures - 10 year and greater
— (9,840,500)11.05
Total$8,472,100 $(9,840,500)7.11
Offsetting of Derivative Assets and Liabilities
The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset in the Company’s Consolidated Statements of Financial Condition at March 31, 2025 and December 31, 2024, respectively.
March 31, 2025
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaps, at fair value$8,012 $(3,238)$— $4,774 
Interest rate swaptions, at fair value7,595 — (7,515)80 
TBA derivatives, at fair value35,095 (23,242)(11,270)583 
Futures contracts, at fair value5,597 (5,597)— — 
Purchase commitments10,958 — — 10,958 
Liabilities 
Interest rate swaps, at fair value$18,455 $(16,942)$— $1,513 
TBA derivatives, at fair value12,467 (12,311)— 156 
Futures contracts, at fair value148,371 (5,597)(142,774)— 
Purchase commitments1,772 — — 1,772 
December 31, 2024
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaps, at fair value$21,226 $(8,138)$— $13,088 
TBA derivatives, at fair value8,635 (879)(929)6,827 
Futures contracts, at fair value190,980 (16,650)— 174,330 
Purchase commitments4,510 — — 4,510 
Liabilities 
Interest rate swaps, at fair value$7,212 $(7,212)$— $— 
TBA derivatives, at fair value30,539 (19,495)— 11,044 
Futures contracts, at fair value16,650 (16,650)— — 
Purchase commitments5,185 — — 5,185 
Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss
The effect of interest rate swaps in the Consolidated Statements of Comprehensive Income (Loss) is as follows:
Location on Consolidated Statements of Comprehensive Income (Loss)
 
Net Interest Component of Interest Rate Swaps (1)
Realized Gains (Losses) on Termination of Interest Rate Swaps (1)
Unrealized Gains (Losses) on Interest Rate Swaps (1)
For the three months ended(dollars in thousands)
March 31, 2025$191,545 $(43,789)$(753,601)
March 31, 2024$330,149 $(21,237)$900,902 
(1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).
The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:
Three Months Ended March 31, 2025
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$(14,355)$44,533 $30,178 
Net interest rate swaptions— (8,600)(8,600)
Futures(86,356)(317,103)(403,459)
Purchase commitments— 9,859 9,859 
Total
$(372,022)
(1) For the three months ended March 31, 2025, includes $9.0 million of realized gain related to SOFR futures options.
Three Months Ended March 31, 2024
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$(8,615)$14,898 $6,283 
Net interest rate swaptions— 30,631 30,631 
Futures (1)
(8,680)145,709 137,029 
Purchase commitments— (6,613)(6,613)
Total$167,330 
(1) For the three months ended March 31, 2024, includes $1.2 million of unrealized gain related to SOFR futures options.